This study analyses the persistence of regular and non-regular employment status in Japan for workers that change jobs. In particular, we investigate two hypotheses behind this persistence. The first is the dependence of the employment status in the current job on that in the previous job. The second is the dependence of the employment status in the current job on that in the first job. While both effects are empirically verified, the former effects are shown to be quantitatively more substantial. Therefore, the serially dependent structure of employment status matters critically for the segmentation of the labour market in Japan.